Ciencias Sociales

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Net Cash Flow Analysis as Stochastic Processes Theory Application and the Real Options Theory: A New Approach-Edición Única
(Instituto Tecnológico y de Estudios Superiores de Monterrey, 2006-12-01) Mota Aragón, Martha B.; Dr. Belen Villalonga-Morenés; Dr.Francisco Venegas-Martínez; Dr.Luis García-Calderón Díaz; Dr.Alejandro Ibarra-Yúnez
The main contribution of this dissertation is focused on the Capital Investments Theory that influences on Real Option Theory. My Ph.D Thesis asserts that net cash flow (NCF) and the interest rate (rt) of a investment project are stochastic processes. A new model of mean reversion for the NCF administration named “Vasicek extended” is made, among others; the Cox-Ingersoll-Ross (CIR) model for interest rate is considered. A fundamental contribution to this thesis is considering external control variables (Zt) which modify the Net Cash Flow trajectory. To the system of dynamic variables is joined Vector Autoregressive VAR(l) which captures the dynamic interaction of the control variables used by the council administration. We work through from a continuous to a discrete version. Then is explained NPV from my new point of view. The modified NPV(Zt) this gives a more accurate value for valuating VPN(Zt) +<�, � is the real option, therefore we see a step forward on the topic. There is a complete analysis for the discrete case and therefore a complete methodology for applying these ideas to any enterprise in any country. This methodology is applied to the Mexican case, particularly to large enterprises which are listed in the Mexican Stock Market and a taxonomy to get a classification of their situation derivates from it. We arrive 9 naturally possible cases and any enterprise is classified into one of them. The general model are estimated for 69 large enterprises and it shows where every enterprise is located over its corresponding quadrant, this also results as a map allowing having a clear panorama about industrial situation in Mexico. Through the thesis development, we enter upon the information asymmetry notion to obtain the “news cash flow curve” applied to the NCF profit as another contribution. An application on 69 large enterprises listed in the Mexican Stock Market is made.
Explaining the Time Series and Cross-Section Variations of Returns: The Mexican Stock Market-Edición Única
(Instituto Tecnológico y de Estudios Superiores de Monterrey, 2004-06-01) Velarde Chapa, Jorge E.; Dr.Sheridan Titman; Roberto Santillán Salgado; Alejandro Fonseca Ramírez
The main objective of this dissertation is to propose an Asset Pricing Model that identifies the risk factors explaining the time series and cross-section variations in the returns of the Mexican Stock Market. This analysis sheds a deeper understanding about the behavior of the returns in the Mexican Stock Market, provides foreign and local investors with new elements in order to better identify attractive investments and will enable portfolio managers to enhance their analysis when determining the optimal degree of risk exposure. The CAPM, Multi-Factor Pricing Model and the Characteristic Model were tested; grouping the stock returns according to the market betas, size and book-to-market value. The sample covered a time period from 1987 to 2001, divided in sub-periods, to evaluate the economic and financial shocks, the opening of Mexico's economy through trade agreements, and vi the Mexican financial deregulation. The results suggest that the CAPM and MultiFactor Pricing Model that include the risk factors identified by Chen, Roll and Ross (1986) and Fama and French (1993), do not explain the time series and cross-section variations of the Mexican Stock returns. When testing different risk factors and the portfolios are constructed by market betas then the excess market return, the default risk and the U.S. real interest rate can better explain cross-section variations of the average returns between 1987 and 2001. But, when the portfolios are formed according to the market size and book-to-market value, the evidence found sustains that variations in returns are captured by different risk factors according to different business conditions. From 1987 until 1994, the excess market return, size mimicking portfolio, book-to-market mimicking portfolio and exchange rate give a better explanation for the variation of the average returns. Furthermore, from 1995 until 2001, the excess market return, size mimicking portfolio, book-to-market mimicking portfolio and the default risk offer a better explanation. The evidence presented to test the Characteristic Model was not sufficient in order to discriminate between a Factor or Characteristic Model. Nonetheless, since this may be the first study which tests the model in the Mexican Stock Market, I proposed some future lines of research in this area.

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